This paper applies a new spatial approach for the specfication of multivariate GARCH models, called Spatial Effects in ARCH, SEARCH. We consider spatial dependence associated with industrial sectors and capitalization size. This parametrization extends current feasible specifications for large...

It is commonly believed that higher budget deficits raise interest rates. However, these crowding out effects of increasing public debt have usually been found to be small or non-existent. One explanation is that on globalised bond markets interest rate differentials are offset due to financial...